Dynamic Delta-Hedging Strategy of TAIEX Options with Considering Investor Sentiments
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === This study investigates an algorithm for an effective option hedging strategy to hedge the volatility risk of TAIEX options which calculated by the Black-Scholes model. The volatility can be calculated by (1) Historical Volatility-Simple Moving Average volat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/24606041299779566121 |